Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0605
Annualized Std Dev 0.3125
Annualized Sharpe (Rf=0%) 0.1937

Row

Daily Return Statistics

Close
Observations 3760.0000
NAs 1.0000
Minimum -0.1416
Quartile 1 -0.0089
Median 0.0005
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0096
Maximum 0.1075
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0011
Variance 0.0004
Stdev 0.0197
Skewness -0.2129
Kurtosis 6.2944

Downside Risk

Close
Semi Deviation 0.0141
Gain Deviation 0.0142
Loss Deviation 0.0148
Downside Deviation (MAR=210%) 0.0184
Downside Deviation (Rf=0%) 0.0139
Downside Deviation (0%) 0.0139
Maximum Drawdown 0.7794
Historical VaR (95%) -0.0290
Historical ES (95%) -0.0466
Modified VaR (95%) -0.0306
Modified ES (95%) -0.0533
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-01-22 -0.7794 1419 444 975
2018-08-23 2020-04-03 2021-02-24 -0.6139 630 406 224
2015-04-16 2016-01-19 2016-11-11 -0.3138 400 192 208
2016-12-12 2017-08-21 2018-05-30 -0.2158 368 174 194
2014-07-07 2014-10-13 2015-04-06 -0.1496 189 70 119

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA -0.1 -0.2 1.5 1 -1.9 0.6 -1 -2.2 -1.2 -0.9 -4.4
2007 0.8 -0.9 -0.2 0.6 1.1 -0.9 -0.2 0.9 2.2 -4.1 0.1 -0.8 -1.6
2008 2.4 -3.9 4.2 2.6 -0.3 0.3 -0.6 -0.9 1.1 4.9 -12.3 9.6 5.8
2009 -3.7 -3.5 1.1 2.4 7.6 2.9 1.2 -4 -5.7 -4.7 2.4 -1.6 -6.2
2010 1.5 2.1 1.1 -5.5 -3.8 -0.7 0 4.6 0.6 -0.6 1.8 -1.7 -0.9
2011 2.3 -1.5 0.2 0.1 -2.7 1.9 0.3 -3 -1.6 -4.7 -0.3 -0.7 -9.3
2012 3.1 0.1 -1.1 -1.1 -2.5 3.8 -2.1 0.5 0.2 2.1 0 2.2 5
2013 1.1 -0.4 -1.2 -2.9 -1.2 1.5 1.2 -2.6 1.1 0 0.2 0.1 -3.1
2014 -0.7 0.4 1.2 -0.5 -0.3 1 0 0.5 -1.9 2 -1.6 -0.1 -0.2
2015 -1.5 0.5 0.1 0.4 0.1 -0.4 0.7 -3.1 -0.5 -0.4 0.6 -0.8 -4.1
2016 -0.1 1.6 -0.7 -0.5 0.6 2 -0.9 -0.5 1.9 -1.3 0.4 -1.1 1.3
2017 0 2 0.5 0.4 2.3 -0.3 0.1 0.9 0.2 -1.1 -1 -0.6 3.6
2018 0.5 -0.2 0.9 -0.5 0.5 -0.8 -0.6 0.7 -1.8 1.8 0.6 0.4 1.5
2019 0.4 0.6 2 -1.4 -2.1 0.3 -3.2 -0.3 -2.2 2.2 -0.9 0.9 -3.9
2020 -2.4 0 -8 -5.1 1.7 -2.8 -3 2 1.1 -2.6 1.4 0.4 -16.4
2021 2.4 3.5 -0.3 NA NA NA NA NA NA NA NA NA 5.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-03-07  37.6 SPY    128. -0.0016  -0.002    0.0135   0.0088   0.0422    0.546   0.0324 GLD    55.0 -0.0051  -0.02  
2 2006-03-08  37.3 SPY    128.  0.0021  -0.0087   0.013    0.0131   0.0483    0.539   0.0292 GLD    54.0 -0.0178  -0.038 
3 2006-03-09  37.3 SPY    127. -0.0067  -0.0153   0.0151   0.0044   0.053     0.566   0.0305 GLD    54.2  0.005   -0.0441
4 2006-03-10  37.6 SPY    129.  0.0095  -0.0013   0.0156   0.0199   0.0606    0.597   0.0309 GLD    53.8 -0.0076  -0.0435
5 2006-03-13  37.9 SPY    129.  0.0019   0.0051   0.0191   0.0225   0.0701    0.589   0.0218 GLD    54.3  0.0089  -0.0167
6 2006-03-15  38.4 SPY    131.  0.0045   0.0197   0.0344   0.0341   0.0884    0.554   0.0286 GLD    55.1  0.0046   0.0213
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart